A General Theory of Markovian Time Inconsistent Stochastic Control Problems

By Tomas Björk, Agatha Murgoci. 2010

402 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0b3c9ae08b3373290c813f9e6fc4243cfba326aa

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Citations in the corpus

A Maximum Principle for SDEs of Mean-Field Type (2011, methodology): “This optimal control is different from the ones obtained by [ 4 ]u sing the notion of Nash equilibrium and the one suggested in [2], using the total conditional variance formula.”
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2015, background): “2 of Björk and Murgoci [7], time inconsistence of mean-variance problems of the form E[X] + λVar[X] is caused by the term (E[X])(2) in Var[X] = E[X(2)]− (E[X])(2).”
Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2016, background): “For more details, we refer the reader to Björk and Murgoci (2010), Zeng et al. (2013), Li and Li (2013), Björk et al. (2014) and references therein.”
Bellman equation and viscosity solutions for mean-field stochastic control problem (2015, neutral): “inal gain function are in the form: f(t,Xt,P X t ,αt) = f¯(t,Xt,E[Xt],αt), t ∈ [0,T], g(XT ,P XT ) = ¯g(XT,E[XT ]), which arises for example in mean-variance problem (see Section 5). It is claimed in [6] and [37] that Bellman optimality principle does not hold, and therefore the problem is time-inco”
On time-inconsistent stochastic control in continuous time (2017, neutral): “To our knowledge, the present paper, which is the continuous-time part of the working paper [4], is the first attempt to study a reasonably general (albeit Markovian) class of time-inconsistent control problems in continuous time.”
Some Solvable Portfolio Problems with Quadratic and Collective Objectives (2010, neutral): “For a single investor the example is a special case of Björk and Murgoci (2008).”